This study analyses the sensitivity of the Indian equity markets to sectoral macroeconomic policy announcement with emphasis made on the Union Budget announcements as major information events. Using an event study methodology, the paper analyses cumulative abnormal returns (CARs) of selected Nifty sectoral indices over short-, medium-, and long-term event windows during the period 2015–2024. Sectors are classified into policy-driven (Infrastructure), cyclical (Commodities), and defensive (Healthcare) categories based on their dependence on fiscal policy and government expenditure. The findings reveal significant heterogeneity in sectoral responses to policy announcements. Policy-driven sectors exhibit stronger and more persistent abnormal returns, particularly over short and medium event windows, while cyclical sectors display medium-term sensitivity with limited persistence. Defensive sectors show largely insignificant abnormal returns, indicating higher informational efficiency. The results contribute to the literature on sectoral market efficiency and fiscal policy transmission in emerging markets and offer implications for policymakers and investors.